政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/58688

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/58688

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政大典藏 > College of Commerce > Department of International Business > Theses > Item 140.119/58688

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/58688

Title:	投資組合的貝他值套利模式在台灣股票市場的應用 The portfolio beta arbitrage strategy and its application in Taiwan stock market
Authors:	許光輔
Contributors:	郭維裕許光輔
Keywords:	貝它套利套利融資限制超額報酬 beta arbitrage arbitrage funding constraint excess return
Date:	2012
Issue Date:	2013-07-01 17:26:11 (UTC+8)
Abstract:	近年來，波動度交易已成為熱門的研究議題。本研究探討貝他套利模式的理論及方法，並且利用台灣股票市場2003年到2012年的實證資料來研究BAB無系統風險套利模式的投資績效與超額報酬。我們買進低貝他投資組合並借券賣出高貝他投資組合，建立一個BAB權重的零成本投資組合。並且利用超額報酬與多因子alpha來衡量低貝他投資組合、高貝他投資組合及BAB套利方法的投資績效。此外，我們也探討融資限制對於BAB套利方法之報酬的影響。本研究實證發現低貝他投資組合比高貝他投資組合在風險因子調整下的能賺取更高的超額報酬。而在台灣股票市場中，BAB套利模式在風險因子調整下更可以得到顯著的超額報酬；而融資限制也確實減低BAB套利模式的報酬率。 This article examines the theories and methods of beta arbitrage, and considers the returns on market- neutral betting against beta (BAB) factors in Taiwan Stock Exchange (TSE) in during 2003 to 2012. We long low beta portfolios and short sell high beta portfolios, constructing a zero cost portfolio that weighted by BAB factor. Then we examine the excess return and multiple alphas for low beta portfolios, high beta portfolios, and BAB factor. Besides, we are interest that funding constraint might affect the BAB return. We find the evidence that low beta portfolios gain more return adjusted by risks than high beta portfolios. BAB factor could produce significant positive risk adjusted returns. Funding constraint might reduce the BAB return.
Reference:	Asness, C., A. Frazzini, and L. H. Pedersen. 2012. Quality Investment, working paper, AQR Capital Management, New York University. Berrada, T., Messikhz, R., Oderda, G., and Pictet, O. 1972. Beta-Arbitrage Strategies: When Do They Work, and Why?. Swiss Finance Institute Research Paper No. 11-64. Black, F., M.C. Jensen, and M. Scholes. 1972. The Capital Asset Pricing Model: Some Empirical Tests. In Michael C. Jensen (ed.), Studies in the Theory of Capital Markets, New York, 79-121. Black, F. 1972. Capital market equilibrium with restricted borrowing. Journal of business, 45, 3, 444-455. Carhart, M. 1997. On persistence in mutual fund performance. Journal of Finance 52, 57–82. Duffie, D. 1996. Dynamic asset pricing theory. Princeton University Press, Princeton, NJ. Fama, E.F. and French, K.R. 1993. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33, 3–56. Fernholz, R. E. 2002. Stochastic Portfolio Theory. Springer Science , Business Media,and references therein. Frazzini, A. and L. H. Pedersen .2010.Betting Against Beta, working paper, AQR Capital Management, New York University and NBER (WP 16601). Frazzini, A. and L. H. Pedersen .2012. Embedded Leverage. working paper, AQR Capital Management, New York University. Frazzini, A. and L. H. Pedersen. 2012. Buffett’s Alpha. working paper, AQR Capital Management, New York University. Garleanu, N., and L. H. Pedersen.2009. Margin-Based Asset Pricing and Deviations from the Law of One Price. UC Berkeley and NYU, working paper. Goyal, Amit, and Pedro Santa-Clara.2001. The Volatility and Correlation of Common Stocks. Working paper, UCLA. Goyal, A., and Santa-Clara, P. 2003. Idiosyncratic Risk Matters!. Journal of Finance, vol. 58(3), 975-1008, 06. Jensen, M.C. 1968.The Performance of Mutual Funds in the Period 1945-1964. Journal of Finance 23, 389-416. Mankiw, N. G.1986. The equity premium and the concentration of aggregate Shocks. Journal of Financial Economics 17, 211–219. Mankiw, N. Gregory.1986.The Allocation of Credit and Financial Collapse Quarterly.Journal of Economics,Vol. 101., 455-70. Storesletten,K., Telmer,C., and Yaron,A.1996. Asset pricing with idiosyncratic risk and overlapping generations. Economics Working Papers 405, Department of Economics and Business, Universitat Pompeu Fabra.
Description:	碩士國立政治大學國際經營與貿易研究所 100351003 101
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0100351003
Data Type:	thesis
Appears in Collections:	[Department of International Business] Theses

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